Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1232
Annualized Std Dev 0.3986
Annualized Sharpe (Rf=0%) 0.3090

Row

Daily Return Statistics

Close
Observations 3711.0000
NAs 1.0000
Minimum -0.2336
Quartile 1 -0.0078
Median 0.0015
Arithmetic Mean 0.0008
Geometric Mean 0.0005
Quartile 3 0.0113
Maximum 0.2241
SE Mean 0.0004
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0016
Variance 0.0006
Stdev 0.0251
Skewness -0.2352
Kurtosis 12.8262

Downside Risk

Close
Semi Deviation 0.0184
Gain Deviation 0.0181
Loss Deviation 0.0212
Downside Deviation (MAR=210%) 0.0221
Downside Deviation (Rf=0%) 0.0181
Downside Deviation (0%) 0.0181
Maximum Drawdown 0.8548
Historical VaR (95%) -0.0378
Historical ES (95%) -0.0629
Modified VaR (95%) -0.0357
Modified ES (95%) -0.0481
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2013-12-23 -0.8548 1624 416 1208
2020-02-20 2020-03-23 2020-09-02 -0.5934 137 23 114
2018-09-21 2018-12-24 2019-07-03 -0.3663 196 65 131
2015-05-22 2016-02-11 2016-07-12 -0.2699 287 183 104
2018-01-29 2018-04-02 2018-08-27 -0.1988 147 44 103

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA -0.1 -0.9 1 -0.4 -1.2 -0.5 -1 -3
2007 1.2 -0.3 0.2 0.2 0.8 -0.1 1.3 1.5 2.5 -4.8 2.1 -1.5 3
2008 3.2 -4 6.9 4 0.2 0.4 -1 -2.1 0 3.9 -17.3 2.7 -5.3
2009 -4.5 -4.5 3.9 1 4.5 0.5 0.1 -4.5 -5 -5.7 2.3 -1.9 -13.5
2010 3.1 2 1.3 -3.3 -3.4 -0.4 0.1 6 0.8 0.1 4.3 0.1 10.8
2011 3.3 -3.4 0.8 0.4 -4.6 2.9 -0.9 -1.8 -5 -5.4 0 -0.8 -13.9
2012 1.8 1.6 0.8 1.3 -5.5 5 -0.5 1.1 0.6 2.5 -0.3 3.5 11.8
2013 1.8 0.6 -0.6 -1.8 -2.9 1.1 2.4 -0.7 1.5 0.4 -0.2 1 2.6
2014 -1.2 0.5 1.3 -0.1 0.3 1.3 -0.6 0.6 -2.6 2.2 -1.4 -2 -2
2015 -2.5 -0.6 -0.7 2.1 0.4 1.5 -0.3 -6.1 0.6 -0.9 1.9 -2 -6.7
2016 0.1 4.9 1.3 -1.1 0.4 0.5 -0.2 0 1.5 -1.4 -0.8 -0.7 4.4
2017 0 2.6 -0.4 0.4 1.5 0.3 0.4 0.3 0.7 0.3 -0.4 -0.7 5.2
2018 -0.3 -2.7 2.8 0.4 2.1 0.3 -0.2 0 0.7 2 1.3 1.8 8.4
2019 0.2 1.4 2.2 -1.4 -2.7 1.7 -1.8 -0.1 -2.4 1.9 -0.8 0.4 -1.3
2020 -3.6 -0.4 -9 -5.3 0.9 1.3 1.6 1.9 1.3 -2.1 2.2 1 -10.4
2021 3.2 4.9 -0.4 NA NA NA NA NA NA NA NA NA 7.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-06-21  17.9 SPY    125.  0.0074   0.0122  -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018     0.0487
2 2006-06-22  17.7 SPY    124. -0.0044  -0.0132  -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103    0.0072
3 2006-06-23  17.7 SPY    124. -0.0002  -0.0017  -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045    0.0054
4 2006-06-26  17.8 SPY    125.  0.0044   0.0107  -0.0215  -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005     0.0341
5 2006-06-27  17.5 SPY    124. -0.0086  -0.0015  -0.0348  -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103    0.0066
6 2006-06-28  17.6 SPY    125.  0.0068  -0.0021  -0.0107  -0.0406   0.0383    0.277   0.0075 GLD    57.5 -0.00240  -0.0135
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart